Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach (Q4991679)
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scientific article; zbMATH DE number 7354644
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach |
scientific article; zbMATH DE number 7354644 |
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Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach (English)
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3 June 2021
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optimal multiple switching problem
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viscosity solution approach
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pair-trading strategy
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quadratic risk aversion function
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optimal switching regions
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simultaneous multiple switching
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